We tested whether exposure to gun or knife violence over two decades is a cause of depression in young adulthood using data from a nationally representative sample in the United States. The National Longitudinal Study of Adolescent to Adult Health is a sample of 20,745 adolescents, assessed in 1994–95 with follow-ups in 1995–1996 (n = 14,738), 2001–2002 (n = 15,197) and 2007–2008 (n = 15,701; 24 to 32 years old). At each wave, respondents reported exposure to gun or knife violence and symptoms of depression. Regression and sibling fixed effects analyses were conducted to test whether cumulative exposure to gun or knife violence was associated with depression. In fully adjusted models, greater cumulative exposure to gun or knife violence was associated with more symptoms of depression (b = 0.12, 95% C. I. = 0.05; 0.19, p < 0.01) and higher risk for clinically significant depression in young adulthood (OR = 1.07, 95% C. I. = 1.02; 1.13, p < 0.01). Results replicated in sibling fixed effects models (b = 0.21, 95% C. I. = 0.01; 0.42, p < 0.05). These quasi-experimental data suggest that exposure to gun or knife violence is a cause of depression in young adulthood.